Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
| dc.contributor.author | Debrabant, Kristian | |
| dc.contributor.author | Kværnø, Anne | |
| dc.contributor.author | Mattson, Nicky Cordua | |
| dc.date.accessioned | 2023-02-22T09:51:31Z | |
| dc.date.available | 2023-02-22T09:51:31Z | |
| dc.date.created | 2022-01-25T17:21:49Z | |
| dc.date.issued | 2022 | |
| dc.identifier.issn | 0006-3835 | |
| dc.identifier.uri | https://hdl.handle.net/11250/3053095 | |
| dc.description.abstract | In this paper, we consider a class of stochastic midpoint and trapezoidal Lawson schemes for the numerical discretization of highly oscillatory stochastic differen- tial equations. These Lawson schemes incorporate both the linear drift and diffusion terms in the exponential operator. We prove that the midpoint Lawson schemes pre- serve quadratic invariants and discuss this property as well for the trapezoidal Lawson scheme. Numerical experiments demonstrate that the integration error for highly oscil- latory problems is smaller than that of some standard methods. | en_US |
| dc.description.abstract | Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Springer | en_US |
| dc.rights | Navngivelse 4.0 Internasjonal | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
| dc.title | Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants | en_US |
| dc.title.alternative | Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants | en_US |
| dc.type | Peer reviewed | en_US |
| dc.type | Journal article | en_US |
| dc.description.version | publishedVersion | en_US |
| dc.source.journal | BIT Numerical Mathematics | en_US |
| dc.identifier.doi | 10.1007/s10543-021-00906-8 | |
| dc.identifier.cristin | 1989825 | |
| cristin.ispublished | true | |
| cristin.fulltext | original | |
| cristin.qualitycode | 2 |
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